Welcome to Volume 12, Issue 3 of The Journal of Computational Finance. This issue is made up of 4 technical papers: ‘The decoupling approach to binomial pricing of multi-asset options' by Ralf Korn and Stefania Müller from the University of Kaiserslautern; ‘Pricing of spread options on stochastically correlated underlyings' by Marcos Escobar from Ryerson University, Barbara Götz and Rudi Zagst from the Munich University of Technology and Luis Seco from the University of Toronto; ‘Failure discrimination by semi-definite programming using a maximal margin ellipsoidal surface' by Yohei Okada from Resona Bank and Hiroshi Konno from Chuo University; ‘Variance reduction techniques for pricing American options using function approximations' by Sandeep Juneja and Himanshu Kalra from the Tata Institute of Fundamental Research.

Search the archive

Subscribe Now

Subscribe to gain full access to The Journal of Computational Finance and its archive.

This white paper looks at the Basel Committee's BCBS239 principles, also known as PERDARR (Principles for Effective Risk Data Aggregation and Risk Reporting), which comes into force from 1 January 2016.

Download Risk Journals iPad apps

US insurer MetLife is fighting its designation as a systemically important financial institution - a label handed out by the FSOC in December. State supervisors are also questioning the decision: www.risk.net/2391615. Should MetLife be supervised as a Sifi?